Quantpedia in December 2024

Hello and Happy New Year 2025 to all!

Firstly, let’s quickly review December’s updates on Quantpedia. In December, we enhanced Quantpedia’s Saving Plan Analysis report by introducing two new tables that provide in-depth sensitivity analysis for investing and savings plans. Leveraging 100 years of historical data, the tables model a user’s Model portfolio performance and analyze the probability of achieving a desired rate of return across various investment horizons. The first table focuses on lump-sum investments, displaying the likelihood of exceeding required returns (0% to 10%) over time frames ranging from 1 to 20 years. The second table extends this analysis to recurring investments, offering insights into the probabilities of surpassing targeted internal rates of return (IRR) over the same horizons. These additions provide a more comprehensive understanding of portfolio performance under different scenarios..

Secondly, we introduced our new YouTube video series QuantBeats. Together with Dan Hubscher, we plan to focus on expert interviews, cutting-edge quant strategies, and insights into the evolving world of quantitative finance. In the first episode, we introduced ourselves, explained our vision for the show, and gave listeners a glimpse into what to expect from the podcast. In the second episode, we introduced the first external guest—Alex Gillula from Tocaya Capital Management, discussed Alex’s journey to quant portfolio management, how traders can use three key high-level signals to build better portfolios, the role of AI in strategy development, and how market-neutral approaches can capture alpha. Both episodes are live on YouTube, the 3rd episode is in post-production, and we sincerely invite you all to follow us on our Youtube, Linkedin, FB, Twitter, and/or Bluesky links.

9 new Quantpedia Premium strategies have been added to our database
8 new related research papers have been included in existing Premium strategies during the last month
7 new backtests were written in QuantConnect code. Our database currently now contains over 820 strategies with out-of-sample backtests/codes.

Additionally, 4 new research articles were published on the Quantpedia blog in the previous month:

Top Ten Blog Posts on Quantpedia in 2024
Author: Team Quantpedia
Title: Top Ten Blog Posts on Quantpedia in 2024

Front-Running Seasonality in US Stock Sectors
Author: Sona Beluska
Title: Front-Running Seasonality in US Stock Sectors

Design Choices in ML and the Cross-Section of Stock Returns
Authors: Minghui Chen, Matthias X. Hanauer, and Tobias Kalsbach
Title: Design choices, machine learning, and the cross-section of stock returns

Can We Use Active Share Measure as a Predictor?
Authors: Sona Beluska
Title: Can We Use Active Share Measure as a Predictor?

Yours …

Radovan Vojtko
CEO & Head of Research

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